How to set up game engine publishing (cross-platform) addon?
Click on the arrow pointing down below the platforms label, there should be a button to automatically download and install them for you. Alternatively you can download them manually from www.blender.org, basically just download blender for windows/mac (zip version) and extract them on the //lib folder.

However, if you really are looking for a profesional way to publish your game, avoid using the addon at all, use a launcher instead. BGECore comes with a ready-to-use launcher: https://github.com/elmeunick9/BGECore/tree/master/tools/Simple%20Launcher